Optimality And Risk Modern Trends In Mathematical Finance
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Optimality And Risk Modern Trends In Mathematical Finance
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Author : Freddy Delbaen
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-08-25
Optimality And Risk Modern Trends In Mathematical Finance written by Freddy Delbaen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-08-25 with Mathematics categories.
Problems of stochastic optimization and various mathematical aspects of risk are the main themes of this contributed volume. The readers learn about the recent results and techniques of optimal investment, risk measures and derivative pricing. There are also papers touching upon credit risk, martingale theory and limit theorems. Forefront researchers in probability and financial mathematics have contributed to this volume paying tribute to Yuri Kabanov, an eminent researcher in probability and mathematical finance, on the occasion of his 60th birthday. The volume gives a fair overview of these topics and the current approaches.
Inspired By Finance
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Author : Yuri Kabanov
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-10-23
Inspired By Finance written by Yuri Kabanov and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-23 with Mathematics categories.
The present volume is dedicated to Marek Musiela, an eminent scholar and practitioner who is perhaps best-known for his important contributions to problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics in modern mathematical finance. It includes 25 research papers by 47 authors, established experts and newcomers alike, that cover the whole range of the "hot" topics in the discipline. The contributed articles not only give a clear picture about what is going on in this rapidly developing field of knowledge but provide methods ready for practical implementation. They also open new prospects for further studies in risk management, portfolio optimization and financial engineering.
Festschrift Masatoshi Fukushima In Honor Of Masatoshi Fukushima S Sanju
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Author : Zhen-qing Chen
language : en
Publisher: World Scientific
Release Date : 2014-11-27
Festschrift Masatoshi Fukushima In Honor Of Masatoshi Fukushima S Sanju written by Zhen-qing Chen and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-27 with Mathematics categories.
This book contains original research papers by leading experts in the fields of probability theory, stochastic analysis, potential theory and mathematical physics. There is also a historical account on Masatoshi Fukushima's contribution to mathematics, as well as authoritative surveys on the state of the art in the field.
Stochastic Processes And Financial Mathematics
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Author : Ludger Rüschendorf
language : en
Publisher: Springer Nature
Release Date : 2023-04-04
Stochastic Processes And Financial Mathematics written by Ludger Rüschendorf and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-04-04 with Mathematics categories.
The book provides an introduction to advanced topics in stochastic processes and related stochastic analysis, and combines them with a sound presentation of the fundamentals of financial mathematics. It is wide-ranging in content, while at the same time placing much emphasis on good readability, motivation, and explanation of the issues covered. Financial mathematical topics are first introduced in the context of discrete time processes and then transferred to continuous-time models. The basic construction of the stochastic integral and the associated martingale theory provide fundamental methods of the theory of stochastic processes for the construction of suitable stochastic models of financial mathematics, e.g. using stochastic differential equations. Central results of stochastic analysis such as the Itô formula, Girsanov's theorem and martingale representation theorems are of fundamental importance in financial mathematics, e.g. for the risk-neutral valuation formula (Black-Scholes formula) or the question of the hedgeability of options and the completeness of market models. Chapters on the valuation of options in complete and incomplete markets and on the determination of optimal hedging strategies conclude the range of topics. Advanced knowledge of probability theory is assumed, in particular of discrete-time processes (martingales, Markov chains) and continuous-time processes (Brownian motion, Lévy processes, processes with independent increments, Markov processes). The book is thus suitable for advanced students as a companion reading and for instructors as a basis for their own courses. This book is a translation of the original German 1st edition Stochastische Prozesse und Finanzmathematik by Ludger Rüschendorf, published by Springer-Verlag GmbH Germany, part of Springer Nature in 2020. The translation was done with the help of artificial intelligence (machine translation by the service DeepL.com) and in a subsequent editing, improved by the author. Springer Nature works continuously to further the development of tools for the production of books and on the related technologies to support the authors.
Finance At Fields
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Author : Matheus R. Grasselli
language : en
Publisher: World Scientific
Release Date : 2013
Finance At Fields written by Matheus R. Grasselli and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.
This outstanding collection of articles includes papers presented at the Fields Institute, Toronto, as part of the Thematic Program in Quantitative Finance that took place in the first six months of the year 2010. The scope of the volume is very broad, with papers on foundational issues in mathematical finance, papers on computational finance, and papers on derivatives and risk management. Many of the articles contain path-breaking insights that are relevant to the developing new order of post-crisis financial risk management.
Optimal Mean Reversion Trading
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Author : Tim Leung (Professor of industrial engineering)
language : en
Publisher: World Scientific
Release Date : 2015-11-26
Optimal Mean Reversion Trading written by Tim Leung (Professor of industrial engineering) and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-26 with Business & Economics categories.
"Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price dynamics. It is self-contained and organized in its presentation, and provides rigorous mathematical analysis as well as computational methods for trading ETFs, options, futures on commodities or volatility indices, and credit risk derivatives. This book offers a unique financial engineering approach that combines novel analytical methodologies and applications to a wide array of real-world examples. It extracts the mathematical problems from various trading approaches and scenarios, but also addresses the practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs. The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature. This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments."--
Stochastic Processes Finance And Control A Festschrift In Honor Of Robert J Elliott
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Author : Samuel N Cohen
language : en
Publisher: World Scientific
Release Date : 2012-08-10
Stochastic Processes Finance And Control A Festschrift In Honor Of Robert J Elliott written by Samuel N Cohen and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-10 with Mathematics categories.
This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.
Handbook Of The Fundamentals Of Financial Decision Making In 2 Parts
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Author : Leonard C Maclean
language : en
Publisher: World Scientific
Release Date : 2013-05-10
Handbook Of The Fundamentals Of Financial Decision Making In 2 Parts written by Leonard C Maclean and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-10 with Business & Economics categories.
This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2nd edition published in 2006).
Advanced Mathematical Methods For Finance
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Author : Julia Di Nunno
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-03-29
Advanced Mathematical Methods For Finance written by Julia Di Nunno and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-29 with Mathematics categories.
This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.
On Quasiconvex Conditional Maps Duality Results And Applications To Finance
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Author : Marco Maggis
language : en
Publisher: Ledizioni
Release Date : 2011
On Quasiconvex Conditional Maps Duality Results And Applications To Finance written by Marco Maggis and has been published by Ledizioni this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Mathematics categories.